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1 SAF - Laboratoire de Sciences Actuarielle et Financière

Abstract : We consider the class of concave distortion risk measures to study how choice is influenced by the decision-maker-s attitude to risk and provide comparative static results. We also assume ambiguity about the probability distribution of the risk and consider a framework à la Klibanoff, Marinacci and Mukerji 2005 to study the value of information that resolves ambiguity. We show that this value increases with greater ambiguity, with greater ambiguity aversion, and in some cases with greater risk aversion. Finally we examine whether a more risk-averse and a more ambiguity-averse individual will invest in more effort to shift his initial risk distribution to a better target distribution.

Keywords : Ambiguity dual theory risk measures distorsion optimal effort

Author: Christian Robert - Pierre-Emmanuel Thérond -

Source: https://hal.archives-ouvertes.fr/


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